Gagliardini, Patrick Rubin, Mirco 2016-03-18 My thesis considers new latent factor models, and their estimation methodologies, suitable for settings relatively unexplored in the econometric literature as (i) a nonlinear model for the joint dynamics of a large cross-sectional distribution of asset returns, and the persistence of the ranks of the individuals inside it; (ii) approximate linear latent factor models for large panels of mixed-frequency data; and (iii) small scale state space models featuring multiple time series with stochastic volatility and observed at different frequencies. The thesis is articulated in four chapters: Chapter 1 summarizes the motivation and the objectives of the thesis, while the remaining three chapters correspond to three different articles. Chapter 2 presents a new type of asset allocation strategies based on a novel dynamic model of the cross-sectional distribution of returns and the ranks of assets inside the same cross-sectional distribution. These strategies are implemented on a large panel of US stocks, and are shown to perform well compared to traditional asset allocation strategies. Chapter 3 proposes a new class of approximate latent factor models suitable for large panels of data observed at different frequencies. An empirical application uncovers the common components of monthly data on output growth rates of the US industrial production sectors, and the yearly output growth rates of all the remaining sectors of the US economy, mainly services. Chapter 4 introduces indirect inference estimators for state space models featuring mixed frequency observables and stochastic volatility, and considers an application to forecasting quarterly European GDP using monthly macroeconomic indicators. application/pdf https://susi.usi.ch/global/documents/318786 https://n2t.net/ark:/12658/srd1318786 https://susi.usi.ch/documents/318786/files/2016ECO002.pdf eng info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-115071 info:eu-repo/semantics/altIdentifier/ark/12658/srd1318786 info:eu-repo/semantics/openAccess License undefined Positional good Robust portfolio management Rank Fund tournament Factor model Big data Equally weighted portfolio Momentum Positional risk aversion Approximate factor model Principal component analysis Canonical correlations Mixed-frequency data Sectoral output growth Industrial production Gross domestic product Indirect inference Reprojection State space model Stochastic volatility GDP forecasting info:eu-repo/classification/udc/33 Latent factor models for large and mixed-frequency data in finance and macroeconomics http://purl.org/coar/resource_type/c_db06